<p>The performance of the algorithm was decent. Over the past five years, the algorithm achieved a Sharpe Ratio of 0.252,
    while buying and holding SPY over the same period would have achieved a Sharpe Ratio of 0.713. Some ideas for improvement include:</p>
<ul>
    <li>Testing different Wavelet types (e.g. Daubechies)</li>
    <li>Trying out other time resolutions (e.g. Minute)</li>
    <li>Using alternative Decomposition methods (e.g. Stationary Wavelet Transform)&nbsp;</li>
</ul>
<p>If a user comes across any interesting results with modifications of this algorithm, we&rsquo;d love to hear about it in the Community Forum.</p>